Is this new Non-Meraki VPN Peer with Azure too? That wasn't clear. Anyway, you cannot route two Non-Meraki VPN Peers for them to communicate, if you want another non-Meraki peer to reach the Azure devices and vice versa, it is necessary to configure a tunnel directly with Azure.
I am not a Cisco Meraki employee. My suggestions are based on documentation of Meraki best practices and day-to-day experience.
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